Money Demand Function with Asymmetric Adjustment: Evidence on BRICs
學年 99
學期 2
出版(發表)日期 2011-07-01
作品名稱 Money Demand Function with Asymmetric Adjustment: Evidence on BRICs
作品名稱(其他語言)
著者 Zhu, Meng-nan;Yu, Hai-Yan; Chang, Hsu-ling; Su, Chi-wei
單位 淡江大學國際貿易學系暨國際企業研究所
出版者 Lagos: Academic Journals
著錄名稱、卷期、頁數 African Journal of Business Management 5(14), pp.5449-5459
摘要 The long-run equilibrium relationship for the money demand function in the BRICs is investigated by the asymmetrical TAR and M-TAR cointegration tests developed by Enders and Granger (1998), Enders and Siklos (2001). Empirical results indicate that real M2 money balance, real GDP, real exchange rate and deposit rate have a long term relationship under some specific threshold value. Furthermore, we apply asymmetrical error-correction models to test if the money demand of the BRICs exist any nonlinear forms which will be compared with symmetrical error-correction models. Therefore, we find that M2 money demand in the BRICs support the hypothesis of an asymmetrical error correction process and provide better interpretation of macroeconomic meanings in the demand for money.
關鍵字 Money demand function;threshold autoregressive model;asymmetry adjustment;BRICs
語言 en
ISSN 1993-8233
期刊性質 國外
收錄於 SSCI
產學合作
通訊作者 Su, Chi-wei
審稿制度
國別 NGA
公開徵稿
出版型式 紙本
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